Nº 13-33: Capital Levels and Risk-Taking Propensity in Financial Institutions
G. Barone-Adesi, W. Farkas, P. Koch-Medina
Working Papers
27 mai 2013
Nº 13-10: What Constrains Liquidity Provision? Evidence From Institutional Trades
F. Franzoni, A. Plazzi, E. Cötelioglu
Working Papers
26 mars 2013
N°14-74: Liquidation with Self-Exciting Price Impact, T. Cayé and J. Muhle-Karbe, 2014.
T. Cayé and J. Muhle-Karbe
Working Papers
N°14-73: Strategic Technology Adoption and Hedging under Incomplete Markets, M. Leippold and J. Stromberg, 2014.
M. Leippold, J. Stromberg
Working Papers
N°14-70: Bank Capital, Liquid Reserves, and Insolvency Risk, J. Hugonnier and E. Morellec, 2014.
E. Morellec, J. Hugonnier
Working Papers
N°14-69: Claims Run-Off Uncertainty: The Full Picture, M. Merz and M. V. Wüthrich, 2014.
M. Wüthrich, M. Merz
Working Papers
N°14-68: Higher-Order Effects in Asset-Pricing Models with Long-Run Risks, W. Pohl, K. Schmedders, and O. Wilms, 2014.
K. Schmedders, W. Pohl, O. Wilms
Working Papers
N°14-67: Heterogeneity in Decentralized Asset Markets, J. Hugonnier, B. Lester, and P.-O. Weill, 2014.
J. Hugonnier, B. Lester, and P.-O. Weill
Working Papers
N°14-66: Fed Funds Futures Variance Futures, D. Filipovic and A. B. Trolle, 2014.
D. Filipović, A. Trolle
Working Papers
N°14-65: Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment, M. Efing, 2014.
N°14-64: Shadow Insurance, R. Koijen and M. Yogo, 2014.
R. Koijen and M. Yogo
Working Papers
N°14-63: To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting, H. Amini, D. Filipovic, and A. Minca, 2014.
D. Filipović, H. Amini, A. Minca
Working Papers
N°14-62: Martingale Optimal Transport in the Skorokhod Space, Y. Dolinsky and H. M. Soner, 2014.
H. Soner, Y. Dolinsky
Working Papers
N°14-61: Facelifting in Utility Maximization, K. Larsen, H. M. Soner, and G. Zitkovic, 2014.
H. Soner, K. Larsen, G. Zitkovic
Working Papers
N°14-60: Hedging Under an Expected Loss Constraint with Small Transaction Costs, B. Bouchard, L. Moreau, and H. M. Soner, 2014.
H. Soner, B. Bouchard, L. Moreau
Working Papers